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Published on 1/7/2011 in the Prospect News Structured Products Daily.

Goldman plans to price Libor, S&P 500-linked range accrual notes

By Jennifer Chiou

New York, Jan. 7 - Goldman Sachs Group, Inc. plans to price 15-year Libor and S&P 500 index-linked callable quarterly range accrual notes, according to a 424B2 filing with the Securities and Exchange Commission.

The interest rate will be 7% for the first four years. Thereafter, the interest rate will be 7% per year multiplied by the proportion of days on which Libor is 7% or less and the S&P 500's closing level is at least 70% to 75% of the initial level. Interest is payable quarterly.

The payout at maturity will be par.

The notes are callable at par on any interest payment date beginning on January 2015.

The notes' Cusip is 38143UQS3.

Goldman, Sachs & Co. is the underwriter.


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